@ARTICLE{19082136_2007,
author = {Geromichalos, Athanasios and Licari, Juan Manuel and Suárez-Lledó, José},
keywords = {asset pricing, asset returns, inflation, liquidity, monetary policy},
title = {Monetary Policy and Asset Prices},
journal = {Review of Economic Dynamics},
year = {2007},
month = {},
volume = {10},
number = {4},
pages = {761-779},
url = {http://ecsocman.hse.ru/text/19082136/},
publisher = {},
language = {ru},
abstract = {The purpose of this paper is study the effect of monetary policy on
asset prices. We study the properties of a monetary model in which a
real asset is valued for its rate of return and for its liquidity. We
show that money is essential if and only if real assets are scarce,
in the precise sense that their supply is not sufficient to satisfy
the demand for liquidity. Our model generates a clear connection
between asset prices and monetary policy. When money grows at a
higher rate, inflation is higher and the return on money decreases.
In equilibrium, no arbitrage amounts to equating the real return of
both objects. Therefore, the price of the asset increases in order to
lower its real return. This negative relationship between inflation
and asset returns is in the spirit of research in finance initiated
in the early 1980s. },
annote = {The purpose of this paper is study the effect of monetary policy on
asset prices. We study the properties of a monetary model in which a
real asset is valued for its rate of return and for its liquidity. We
show that money is essential if and only if real assets are scarce,
in the precise sense that their supply is not sufficient to satisfy
the demand for liquidity. Our model generates a clear connection
between asset prices and monetary policy. When money grows at a
higher rate, inflation is higher and the return on money decreases.
In equilibrium, no arbitrage amounts to equating the real return of
both objects. Therefore, the price of the asset increases in order to
lower its real return. This negative relationship between inflation
and asset returns is in the spirit of research in finance initiated
in the early 1980s. }
}